Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes

Renée Fry-McKibbin, Cody Yu Ling Hsiao, Chrismin Tang

Research output: Contribution to journalArticlepeer-review

46 Citations (Scopus)

Abstract

Episodes of extraordinary turbulence in global financial markets are examined during nine crises ranging from the Asian crisis in 1997-98 to the recent European debt crisis of 2010-13. After dating each crisis using a regime switching model, the analysis focuses on changes in the dependence structures of equity markets through correlation, coskewness and covolatility to address a range of hypotheses regarding contagion transmission. The results show that the great recession is a true global financial crisis. Finance linkages are more likely to result in crisis transmission than trade and emerging market crises transmit unexpectedly, particularly to developed markets.

Original languageEnglish
Pages (from-to)521-570
Number of pages50
JournalOpen Economies Review
Volume25
Issue number3
DOIs
Publication statusPublished - Jul 2014
Externally publishedYes

Keywords

  • Argentinian crisis
  • Asian crisis
  • Brazil crisis
  • Contagion testing
  • Correlation
  • Coskewness
  • Covolatility
  • Dot-com crisis
  • European debt crisis
  • Global financial crisis
  • Great recession
  • LTCM crisis
  • Russian crisis
  • Sub-prime crisis

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